def test_analytical_theta(self):
while self.tdi.has_next():
row = self.tdi.next_row()
S, K, t, r, sigma = row['S'], row['K'], row['t'], row['R'], row[
'v']
self.assertAlmostEqual(analytical.theta('c', S, K, t, r, sigma, q),
row['CT'] / 365.0,
delta=0.000001)
self.assertAlmostEqual(analytical.theta('p', S, K, t, r, sigma, q),
row['PT'] / 365.0,
delta=0.000001)
def test_analytical_theta(self):
S = 49
K = 50
sigma = .2
r = .05
t = 0.3846
q = 0.2
flag = 'p'
c_put = c_analytical.theta(flag, S, K, t, r, sigma, q)
py_put = py_analytical.theta(flag, S, K, t, r, sigma, q)
self.assertTrue(almost_equal(c_put, py_put))
flag = 'c'
c_call = c_analytical.theta(flag, S, K, t, r, sigma, q)
py_call = py_analytical.theta(flag, S, K, t, r, sigma, q)
self.assertTrue(almost_equal(c_call, py_call))
def test_theta(self):
thetas = [
theta(flag, S, K, t, r, sigma, q)
for flag, S, K, t, r, sigma, q in self.arg_combinations
]
nthetas = [
ntheta(flag, S, K, t, r, sigma, q)
for flag, S, K, t, r, sigma, q in self.arg_combinations
]
self.assertTrue(self.diff_mean(thetas, nthetas) < self.epsilon)
def theta(self, S, vol):
if option.time_exp[self.exp] <= 0: return 0.
return bsg.theta(self.flag, S, self.K, option.time_exp[self.exp],
self.rate, vol, 0.)
import py_vollib.black_scholes_merton.implied_volatility as BSvol import py_vollib.black_scholes_merton.greeks.analytical as BSgreeks t = 10 / 365 price = 0.56 S = 233.2 K = 235 flag = 'c' r = .02 q = .0224 iv = BSvol.implied_volatility(price, S, K, t, r, q, flag) td = BSgreeks.theta(flag, S, K, t, r, iv, q) print(round(iv, 3)) print(round(td, 3))